Title of article
Hedging American contingent claims with constrained portfolios under proportional transaction costs
Author/Authors
Wang Bo، نويسنده , , Meng Qingxin، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2005
Pages
10
From page
1153
To page
1162
Abstract
In a general continuous-time market model with constrained portfolios under proportional transaction costs, we derive the upper and lower hedging prices of American contingent claims. Furthermore we have that [hlow(K),hup(K)] is an arbitrage-free interval.
Journal title
Chaos, Solitons and Fractals
Serial Year
2005
Journal title
Chaos, Solitons and Fractals
Record number
901176
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